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Public Lecture at IHS (fwd)
by Christopher Summer 20 Feb '02

20 Feb '02

---------- Forwarded message ---------- Date: Wed, 20 Feb 2002 14:38:02 +0100 From: Beatrix Pawelczak <pawelcza(a)ihs.ac.at> Dear Sir or Madam, Dear NOEG Member, We cordially invite you to the PUBLIC LECTURE AT IHS on Thursday, February 28, 2002 at 4.30 p.m. Institute for Advanced Studies, Hörsaal II Stumpergasse 56, A-1060 Wien. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Roger GUESNERIE (DELTA - Ecole normale supérieure) "Expectational Stability in Finance Models: The Case of Price-revealing Equilibria." ABSTRACT We consider a simple competitive model à la Grossman, in which prices may transmit the information held by the informed agents to the uninformed ones. We analyse expectational coordination on the price revealing equilibrium from an 'sductive' or 'cognitive' viewpoint. We stress factors favouring expectational coordination. In particular, expectational coordination is destabilized whenever uninformed agents extract (at equilibrium) too much information. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Best Regards Beatrix Pawelczak

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reminder, this week's seminars
by Christopher Summer 18 Feb '02

18 Feb '02

Tu, 19.02.2002 -------------- Josef Teichmann, TBA Th, 21.02.2002 -------------- Our seminar on "Optima and Equilibria" continues. This time we will discuss Abraham Wald's contributions to equilibrium theory. For further details see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Everett Pitcher postdoctoral position
by Christopher Summer 13 Feb '02

13 Feb '02

---------- Forwarded message ---------- Date: Tue, 12 Feb 2002 13:12:25 -0500 From: Vladimir Dobric <vd00(a)lehigh.edu> Subject: Everett Pitcher postdoctoral position The Department of Mathematics at Lehigh University is pleased to announce the establishment of the Everett Pitcher Postdoctoral position in mathematics. This is a two-year, non-tenure track position and carries a three course per year teaching load, including at least one course in the applicant's specialty. The Department is particularly interested in applicants in financial mathematics, but welcomes applicants in any fields which complement our existing strengths. To find more about the position please visit http://www.lehigh.edu/~math/Everett_Pitcher_Postdoc.html or send an e-mail to Prof. Vladimir Dobric at vd00(a)lehigh.edu. Vladimir Dobric

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Econometric Research Seminar at IHS
by Christopher Summer 12 Feb '02

12 Feb '02

---------- Forwarded message ---------- Date: Tue, 12 Feb 2002 10:07:33 +0100 From: Beatrix Pawelczak <pawelcza(a)ihs.ac.at> Subject: Econometric Research Seminar at IHS Dear Sir or Madam, We cordially invite you to the next ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Ökonometrisches Forschungsseminar / Econometric Research Seminar (M.Deistler, A. Weber) on Thursday, February 14, 2002, at 9:15 a.m. Institute for Advanced Studies, HS II Stumpergasse 56, A-1060 Vienna Engelbert J. DOCKNER (University of Vienna) "Nonlinear Versus Non-Gaussian Volatility Models." Abstract: With the introduction of GARCH models empirical research in finance started to focus on the issue of nonlinear and non-Gaussian models for conditional variances. In this paper we present a recurrent mixture density network and estimate conditional variances. Using stock market returns it turns out that while nonlinear modelling does not seem to be important, non-Gaussian conditional distributions are necessary to capture time varying higher moments and fat tails. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Sincerely, Beatrix Pawelczak

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reminder, this week's seminars
by Christopher Summer 11 Feb '02

11 Feb '02

Tu, 12.02.2002 -------------- Uli Haböck, arbitrage-free asset pricing with proportional transaction costs, a paper of zhang, xu and deng. Th, 14.02.2002 -------------- Our seminar on "Optima and Equilibria" continues. This time we will proceed with our discussion on Gerard Debreu's "Theory and Value". For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Samos 2002
by Christopher Summer 04 Feb '02

04 Feb '02

2nd CONFERENCE IN ACTUARIAL SCIENCE AND FINANCE IN SAMOS SEPTEMBER 20-22, 2002, GREECE The Department of Statistics & Actuarial Science of the University of the Aegean is pleased to host the 2nd Conference in Actuarial Science and Finance, to be held in Samos, on September 20-22, 2002. This event is jointly organized with the Katholieke Universiteit Leuven (Department of Applied Economics and Department of Mathematics) and the Université catholique de Louvain (Institute of Statistics and Actuarial research group), Belgium. The Conference allows the presentation of the latest works in the area of actuarial science and finance. It is open to all persons interested in actuarial science and finance, be they from universities, insurance companies, banks, consulting firms or regulatory authorities. The conference aims to facilitate the contact and the communication between the practicians and the researchers; a special session will be devoted to different aspects of actuarial practice. The main topics include · Life, pension and health insurance · Collective Risk Models, Dynamic Solvency Testing · Claims Distributions and Statistics · Nonlife insurance · Extreme Value Theory and Applications · Financial Risk Management A number of sessions will explore the different aspects of these areas. There will be 3 pre-conference short courses from September 16-19, 2002: · Extreme values with applications in insurance and finance, by Professor J. Teugels · Modelling dependence in actuarial science and finance, by Professor J. Dhaene · Building projected lifetables and managing the longevity risk, by Professor M. Denuit Postgraduate students and young researchers are specially welcome. For further information, please refer to http://www.stat.ucl.ac.be/Samos2002/ Oana PURCARU Institut de Statistique Université Catholique de Louvain Voie du Roman Pays, 20 B-1348, Louvain-la-Neuve BELGIQUE e-mail : purcaru(a)stat.ucl.ac.be tel: + 32 10/ 47 30 52 fax : + 32 10/ 47 30 32

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reminder, this week's seminars
by Christopher Summer 04 Feb '02

04 Feb '02

Tu, 05.02.2002 -------------- Franz Liebmann, Risikobereitschaft von Versicherungsunternehmen Th, 07.02.2002 -------------- Our seminar on "Optima and Equilibria" continues. This time we will discuss Gerard Debreu's "Theory and Value". For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Thursday Seminar
by Christopher Summer 01 Feb '02

01 Feb '02

Before we continue our discussion of Aubin's book, we will have a look at "Theory of Value" by Gerard Debreu. This will be done on the next two thursdays: 07.02.2002 ---------- Basic concepts like Commodities, Prices, Consumers, Equilibrium in the context of Debreu's book. 14.02.2002 ---------- Proof of the existence of an equilibirum in a private ownership economy. For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Next week's seminars
by Christopher Summer 28 Jan '02

28 Jan '02

Mo, 28.01.2002, 10:00 --------------------- Patrick Cheridito, Introduction to fractional Brownian motion (Besprechungszimmer, 6th floor, green area) Tu, 29.01.2002, 16:30 --------------------- Patrick Cheridito, Fractional Ornstein-Uhlenbeck processes Th, 31.01.2002, 16:30 --------------------- We will start to discuss economic equilibria based on Debreu's "Theory of Value". -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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reminder, this week's seminars
by Christopher Summer 21 Jan '02

21 Jan '02

Tu, 22.01.2002 -------------- Hans Bühlmann, Über die Vorsicht des Aktuars und den Mut des Spielers. Attention: this talk takes place at FH HS 8. Th, 24.01.2002 -------------- Our seminar on "Optima and Equilibria" continues. This time we will do some of the problems. There will also be some discussion about the future content of the thursday seminar. For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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